Stochastic Pattern of Major Indices of Bombay Stock Exchange
Manish Dadhich1, Vineet Chouhan2, Ashish Adholiya3

1Dr. Manish Dadhich, Assistant Professor, Sir Padampat Singhania University, Udaipur, India.
2Dr. Vineet Chouhan, Assistant Professor, Sir Padampat Singhania University, Udaipur, India.
3Dr. Ashish Adholiya, Assistant Professor, Pacific Business School, Pacific University, Udaipur, India.

Manuscript received on 05 August 2019. | Revised Manuscript received on 10 August 2019. | Manuscript published on 30 September 2019. | PP: 6774-6779 | Volume-8 Issue-3 September 2019 | Retrieval Number: C6068098319/2019©BEIESP | DOI: 10.35940/ijrte.C6068.098319
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Abstract: It is interesting to get inside and draw a meaningful inference by studying the movement of various stock indices. Portfolio managers, analysts, and investors are very keen to know about the technical pattern of indices. They consider the stock market is one of the economic barometers or market indicators of an economy. Indian financial market has undergone radical and vital change during the past few years. The purpose of this study is to check stochastic movements in selected indices and to signify nexus and interdependency among one another by the virtue of econometric analysis. The study comprises of daily closing value from 1st April 2014-1st April 2018, including major indices i.e. S&P-BSE 100; S&P-BSE-200, S&P BSE-500, S&P-BSE:Large cap, S&P-BSE:Mid-cap, S&P-BSE:small-cap, and BSE-SENSEX. Moreover, typical econometrics tool Augmented Dickey-Fuller Test, Granger Causality Test, and Johansen Co-integration Test were implemented to conclude the result. The study is one of its kinds to analyze the static and pair wise relationship among seven BSE indices along with the direction of their expected future movement that would help practitioners, policy makers and investors in anticipating the future movement of the indices. The Dickey-Fuller and Johanson test administered to analyze unit root and co-integration among the series in long run, followed by Granger causality test to observe the route of the short term relationship among various indices. The tests reveal uni-directional and in some cases bi-directional causality in selected indices. Further, it has been observed that due to co-integration, prices of different indices can’t move far away from one another [1]. This stochastic study delves volatility pattern of some major indices of Bombay stock exchange with the help of econometric tools. It clearly delineates nexus of all the indices and provided an explanation to appreciate concrete conduct of one series into a mutual relationship. Hence, investors or analyst may predict the movements, interdependency and their relationship in a significant manner.
Keywords: Econometrics, co-integration, indices, Granger causality, co-movement. JEL Classification: C-53, C-58 & E-37

Scope of the Article: Classification